Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0142
Annualized Std Dev 0.2049
Annualized Sharpe (Rf=0%) -0.0694

Row

Daily Return Statistics

Close
Observations 3854.0000
NAs 1.0000
Minimum -0.1514
Quartile 1 -0.0046
Median 0.0006
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0055
Maximum 0.1889
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0129
Skewness -0.2280
Kurtosis 28.1030

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0095
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0095
Downside Deviation (0%) 0.0095
Maximum Drawdown 0.5996
Historical VaR (95%) -0.0178
Historical ES (95%) -0.0320
Modified VaR (95%) -0.0147
Modified ES (95%) -0.0147
From Trough To Depth Length To Trough Recovery
2005-12-01 2009-03-09 NA -0.5996 3851 821 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 0 0.9 0.8
2006 0.4 0.3 0.6 0.1 1.3 0.2 0.8 -0.2 1.2 0.2 0.1 -0.6 4.6
2007 0.7 0 0.4 0.3 0.3 0.9 -1 1.2 0.3 -1.3 0.9 0.6 3.2
2008 0.6 -1.6 2.3 0.8 -0.1 -0.3 0.1 -0.2 3.4 2.5 -5.4 3.3 5.2
2009 -2.8 -1.5 1.6 0.6 2.4 0.6 0.5 -2.8 -1.1 -2 1 -0.5 -4
2010 1.3 -0.1 0.7 -0.6 -0.9 -0.6 0.7 2.1 0.8 0.4 1.8 0.6 6.2
2011 1.6 -0.3 0.4 0.4 -0.7 0.7 -0.2 -1 -1.3 -1.8 0 0.3 -1.8
2012 0.7 0.5 0.7 0.3 -1.6 1.8 0.3 0.8 1.1 0.6 -1.3 0.4 4.2
2013 -0.4 0.1 0.4 -0.1 -1.3 0.9 0.5 0.3 1.8 -0.1 0.1 -0.2 1.9
2014 -0.2 0.1 0.4 0.2 0 0.1 -0.7 0.5 -0.7 1.1 -0.7 -0.8 -0.8
2015 -0.6 -0.8 -0.2 0.9 0.1 0.8 0 -2.2 0.2 -0.4 0.1 0.4 -1.5
2016 0 1.4 -0.3 -0.8 0.7 1.1 -0.6 -0.2 1.8 -0.5 -0.1 -0.3 2
2017 1.8 1.6 0.6 0.4 0.1 0.1 -0.1 0.8 0.6 0.4 -0.6 -0.5 5.3
2018 0.7 1.1 0.9 -0.5 0.1 1.4 0 -0.1 0.6 2.5 -0.6 1.7 8.1
2019 -0.4 1.2 0.7 0.1 -2.8 0 -1.9 0 -0.4 0.4 -0.1 0.1 -3.1
2020 -0.7 -3.2 -2.8 -2.4 0.2 1.2 0.2 0.8 0.9 -1.1 0.5 1.6 -5.1
2021 0.9 2.4 0.3 NA NA NA NA NA NA NA NA NA 3.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2005-11-23  20   SPY    127.  0.00580   0.0287   0.0611   0.0447   0.0725    0.360  -0.0753 GLD    49.2 -0.0034    0.0287
2 2005-11-25  20   SPY    127.  0.0008    0.02     0.065    0.0527   0.0742    0.36   -0.0696 GLD    49.4  0.0055    0.0194
3 2005-11-28  20   SPY    126. -0.0071    0.0088   0.0688   0.0373   0.0715    0.377  -0.0628 GLD    49.7  0.0065    0.0264
4 2005-11-29  20   SPY    126. -0.0011    0.0026   0.0525   0.0416   0.0696    0.337  -0.0686 GLD    49.8  0.00120   0.0165
5 2005-11-30  20.0 SPY    125. -0.0054   -0.007    0.044    0.0231   0.0518    0.334  -0.0509 GLD    49.1 -0.0141   -0.0045
6 2005-12-01  20   SPY    127.  0.0102   -0.0027   0.0515   0.0343   0.0617    0.346  -0.0605 GLD    50.2  0.0218    0.0208
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart